In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...

With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...

Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...

A new deployment of the multiple criteria decision making (MCDM) techniques: the Simple Additive Weighting (SAW), and the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) for portfolio allocation, is demonstrated in this paper. Rather than exclusive reference to mean and variance as in the traditional mean-variance method, the criteria used in this demonstration are the f...

A new deployment of the multiple criteria decision making (MCDM) techniques: the Simple Additive Weighting (SAW), and the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) for portfolio allocation, is demonstrated in this paper. Rather than exclusive reference to mean and variance as in the traditional mean-variance method, the criteria used in this demonstration are the f...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is optimize over family rank-based parameterized by an exponentially concave function on unit interval. This choice can be motivated long term stability capital distribution observed large equity markets allows us circumvent ...

This paper proposes a bacterial foraging based approach for portfolio optimization problem. We develop an improved portfolio optimization model by introducing the endogenous and exogenous liquidity risk and the corresponding indexes are designed to measure the endogenous/exogenous liquidity risk, respectively. Bacterial foraging optimization (BFO) is employed to find the optimal set of portfoli...